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subject:"Option pricing theory"
~isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
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Option pricing theory
Monte Carlo simulation
22
Monte-Carlo-Simulation
22
Stochastic process
12
Stochastischer Prozess
12
Theorie
12
Theory
12
Volatility
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2008-2010
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Chiarella, Carl
7
Kang, Boda
4
Fanelli, Viviana
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Musti, Silvana
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Griebsch, Susanne
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Heath, David C.
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Meyer, Gunter H.
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Nikitopoulos, Christina Sklibosios
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
The journal of computational finance
42
International journal of theoretical and applied finance
28
Quantitative finance
24
Computational economics
16
Finance and stochastics
15
European journal of operational research : EJOR
14
Applied mathematical finance
13
Energy economics
11
Mathematical finance : an international journal of mathematics, statistics and financial theory
11
Journal of risk and financial management : JRFM
9
Risks : open access journal
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International journal of financial engineering
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Journal of economic dynamics & control
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The North American journal of economics and finance : a journal of financial economics studies
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The journal of futures markets
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Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne
7
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
Finance research letters
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Mathematics of operations research
6
The journal of derivatives : the official publication of the International Association of Financial Engineers
6
Applied economics
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Asia-Pacific financial markets
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Journal of mathematical finance
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Management science : journal of the Institute for Operations Research and the Management Sciences
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International review of financial analysis
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Operations research letters
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Advances in mathematical economics
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Diskussionsbeiträge / Fakultät Wirtschaftswissenschaft, FernUniversität in Hagen
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Numerical methods in finance : Bordeaux, June 2010
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Review of derivatives research
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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A Monte Carlo method using PDE expansions for a diversifed equity index model
Heath, David C.
;
Platen, Eckhard
-
2014
Persistent link: https://www.econbiz.de/10011344801
Saved in:
2
Investigating time-efficient methods to price compound options in the Heston Model
Chiarella, Carl
;
Griebsch, Susanne
;
Kang, Boda
-
2013
Persistent link: https://www.econbiz.de/10009744645
Saved in:
3
Pricing interest rate derivatives in a multifactor HJM model with time dependent volatility
Beyna, Ingo
;
Chiarella, Carl
;
Kang, Boda
-
2012
Persistent link: https://www.econbiz.de/10009632002
Saved in:
4
Option valuation in multivariate SABR models
Kienitz, Jörg
;
Wittke, Manuel
-
2010
Persistent link: https://www.econbiz.de/10008662187
Saved in:
5
The evaluation of barrier option prices under stochastic volatility
Chiarella, Carl
;
Kang, Boda
;
Meyer, Gunter H.
-
2010
Persistent link: https://www.econbiz.de/10008662205
Saved in:
6
The evaluation of American compound option prices under stochastic volatility using the sparse grid approach
Chiarella, Carl
;
Kang, Boda
-
2009
Persistent link: https://www.econbiz.de/10003857524
Saved in:
7
Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Chiarella, Carl
;
Fanelli, Viviana
;
Musti, Silvana
-
2009
Persistent link: https://www.econbiz.de/10008662364
Saved in:
8
Modelling the evolution of credit spreads using the Cox process within the HUM framework : a CDS option pricing model
Chiarella, Carl
;
Fanelli, Viviana
;
Musti, Silvana
-
2008
Persistent link: https://www.econbiz.de/10003857131
Saved in:
9
A control variate method for Monte Carlo simulations of Heath-Jarrow-Morton models with jumps
Chiarella, Carl
;
Nikitopoulos, Christina Sklibosios
; …
-
2005
Persistent link: https://www.econbiz.de/10003194455
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